In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the main international lender in the region), which drastically cut its credit lines to the other Asian countries in 1997.

Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis / Arestis, P.; Caporale, G.; Cipollini, Andrea; Spagnolo, N.. - In: INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS. - ISSN 1099-1158. - STAMPA. - 10(4):(2005), pp. 359-367. [10.1002/ijfe.284]

Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis

CIPOLLINI, Andrea;
2005

Abstract

In this paper we examine whether during the 1997 East Asian crisis there was any contagion from the four largest economies in the region (Thailand, Indonesia, Korea and Malaysia) to a number of developed countries (Japan, UK, Germany and France). Following Forbes and Rigobon, we test for contagion as a significant positive shift in the correlation between asset returns, taking into account heteroscedasticity and endogeneity bias. Furthermore, we improve on earlier empirical studies by carrying out a full sample test of the stability of the system that relies on more plausible (over) identifying restrictions. The estimation results provide some evidence of contagion, in particular from Japan (the main international lender in the region), which drastically cut its credit lines to the other Asian countries in 1997.
2005
10(4)
359
367
Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis / Arestis, P.; Caporale, G.; Cipollini, Andrea; Spagnolo, N.. - In: INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS. - ISSN 1099-1158. - STAMPA. - 10(4):(2005), pp. 359-367. [10.1002/ijfe.284]
Arestis, P.; Caporale, G.; Cipollini, Andrea; Spagnolo, N.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate

Licenza Creative Commons
I metadati presenti in IRIS UNIMORE sono rilasciati con licenza Creative Commons CC0 1.0 Universal, mentre i file delle pubblicazioni sono rilasciati con licenza Attribuzione 4.0 Internazionale (CC BY 4.0), salvo diversa indicazione.
In caso di violazione di copyright, contattare Supporto Iris

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11380/618801
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus 12
  • ???jsp.display-item.citation.isi??? 11
social impact